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Analysis of Volatility in Gold Prices with the Markov Regime-Switching Models

Author

Listed:
  • Evci, Samet

    (Osmaniye Korkut Ata University)

  • Şak, Nazan

    (Osmaniye Korkut Ata University)

  • Karaağaç, Gökben Adana

    (Osmaniye Korkut Ata University)

Abstract

Aim of this study is to determine winning and losing periods with Markov regime-switching models in the gold market. Monthly return data of BIST and London gold markets are used for the period July 1995-July 2015. Results show that Markov regime-switching models are more suitable than the linear model for analyzing the gold returns and also the probabilities of remaining within the same regime are high for the gold returns. Another finding is that two months lagged value of London gold returns affect BIST gold returns.

Suggested Citation

  • Evci, Samet & Şak, Nazan & Karaağaç, Gökben Adana, 2016. "Analysis of Volatility in Gold Prices with the Markov Regime-Switching Models," Business and Economics Research Journal, Uludag University, Faculty of Economics and Administrative Sciences, vol. 7(4), pages 67-77, October.
    • Handle: RePEc:ris:buecrj:0248
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    More about this item

    Keywords

    Gold Price; Markov Regime-Switching Models; Time Varying Markov Regime-Switching Models; Turkey;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • O50 - Economic Development, Innovation, Technological Change, and Growth - - Economywide Country Studies - - - General

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